文章基本信息

标题：An Empirical Analysis of Volatility Characteristics of Inter-Bank Offered Rate of International Financial Centers
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作者：Maoguo Wu ; Xin Luo
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2016
卷号：7
期号：5
页码：p176
DOI：10.5430/ijfr.v7n5p176
语种：English
出版社：Sciedu Press
摘要：This paper compares the trails of volatility of the inter-bank offered rate of five international financial centers with that of Shanghai Inter-Bank Offered Rate (Shibor), using VaR-GARCH model. Considering the influences of local lending rate system and economic environment, it also provides policy implications to improve the pricing approach of Shibor and the revolution of marketization of interest rate, and to increase the reference value of Shibor. Previous research usually analyzes the volatility of the lending rate of one or two markets with the same currency. However, this paper compares Shibor with lending rates of five different global financial centers, which helps correct Shibor’s pricing system and the market it involves. Moreover, this paper uses various kinds of models from the GARCH family to find the optimal one for each market, instead of modelling all different rates with the same model. By doing so it can obtain the model which matches each market best and increase the accuracy of the results.
其他摘要：This paper compares the trails of volatility of the inter-bank offered rate of five international financial centers with that of Shanghai Inter-Bank Offered Rate (Shibor), using VaR-GARCH model. Considering the influences of local lending rate system and economic environment, it also provides policy implications to improve the pricing approach of Shibor and the revolution of marketization of interest rate, and to increase the reference value of Shibor. Previous research usually analyzes the volatility of the lending rate of one or two markets with the same currency. However, this paper compares Shibor with lending rates of five different global financial centers, which helps correct Shibor’s pricing system and the market it involves. Moreover, this paper uses various kinds of models from the GARCH family to find the optimal one for each market, instead of modelling all different rates with the same model. By doing so it can obtain the model which matches each market best and increase the accuracy of the results.